Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0363
Annualized Std Dev 0.2128
Annualized Sharpe (Rf=0%) 0.1707

Row

Daily Return Statistics

Close
Observations 4757.0000
NAs 1.0000
Minimum -0.1047
Quartile 1 -0.0064
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0072
Maximum 0.1484
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0134
Skewness 0.0671
Kurtosis 8.1058

Downside Risk

Close
Semi Deviation 0.0096
Gain Deviation 0.0092
Loss Deviation 0.0098
Downside Deviation (MAR=210%) 0.0144
Downside Deviation (Rf=0%) 0.0095
Downside Deviation (0%) 0.0095
Maximum Drawdown 0.5649
Historical VaR (95%) -0.0210
Historical ES (95%) -0.0314
Modified VaR (95%) -0.0194
Modified ES (95%) -0.0264
From Trough To Depth Length To Trough Recovery
2006-05-10 2009-03-09 2018-01-08 -0.5649 2914 712 2202
2018-01-29 2020-03-16 2020-11-24 -0.3393 711 534 177
2002-05-28 2003-04-28 2003-10-03 -0.3387 278 178 100
2001-10-29 2002-02-06 2002-03-07 -0.1995 73 56 17
2004-04-06 2004-05-17 2005-09-02 -0.1935 356 29 327

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA NA NA 0.5 0.8 -1 0.3
2002 -1 3 1.4 -0.1 0.7 1.3 -0.1 -1.3 0 1.2 0.8 0 6
2003 -2.3 -0.9 -1.1 1.8 0.3 1.3 -0.9 1.2 3.2 -2.1 2.6 0.4 3.5
2004 0.3 2.7 0.8 -0.6 -1.1 -1.3 1 0.5 2.3 0 1 1 6.7
2005 0.3 0.8 -0.4 1.4 1 -0.1 0.8 1 -1.5 1.3 2.2 -0.8 6.2
2006 -1.1 0.7 -0.7 0.2 0.8 1.5 -1.2 0.7 0.3 0 -0.4 -0.2 0.6
2007 1.3 -0.6 -1.2 0.4 0.5 0.9 -1.2 2.1 0.8 -1.3 0.1 -0.3 1.4
2008 0.7 -1.4 2.6 0.5 1.3 0 -1 0.5 -0.8 -0.8 -6.9 0.7 -4.7
2009 -2.3 0.8 2.8 1.3 1.3 0.8 0.7 -1.1 -2.3 -1.2 3.2 -0.5 3.2
2010 0.9 0.6 1.5 -1.3 -0.2 0.2 -0.5 2.2 -0.1 -1 2 0.7 5
2011 1.9 -0.1 -0.2 0.7 -1.2 0.6 -0.6 -0.6 -2.2 -1.5 -1.3 0.3 -4.2
2012 1 0.1 0.3 -0.8 -2.6 1.9 -0.9 -0.2 0.2 1.5 0 0.7 1.1
2013 -0.2 0.8 -3.8 -1.1 -1.8 1 3.6 -2.3 -0.3 -1.7 0.2 0.5 -5.3
2014 -2 -0.3 -0.1 1.2 0.4 1.3 0 0 -1.1 4.9 0.4 0.3 5
2015 -1.5 -0.7 0.1 1.1 1.1 0.6 0.8 -5.4 1.1 0.4 0.3 -0.9 -3
2016 0.5 2.3 -2.3 -1.4 0 -0.1 0.1 1.1 -0.3 -0.5 -0.9 0.5 -1
2017 0.8 1.3 -1.1 0.4 0.7 0.3 0.8 -0.2 0 0.6 -0.8 0.1 2.9
2018 0.8 -2.7 1.1 -0.5 0.7 -0.2 0.3 0.2 0.5 -0.4 -0.2 -0.4 -0.8
2019 -0.5 0.4 1.5 -0.4 -1.2 1.4 -0.2 -0.1 -0.8 1.1 -0.9 0.2 0.6
2020 -1.7 -0.4 -4.7 -1.6 1.4 -0.3 -2.7 0.2 0 -0.9 2.1 0.1 -8.4
2021 0.8 1.5 0.7 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-10-26  38.7 SPY    110. -0.0023   0.0277   0.0787  -0.0635   -0.212       NA       NA <NA>     NA    NA       NA
2 2001-10-29  37.9 SPY    107. -0.026   -0.0185   0.0288  -0.0978   -0.235       NA       NA <NA>     NA    NA       NA
3 2001-10-31  37.6 SPY    106. -0.0034  -0.026    0.0021  -0.124    -0.224       NA       NA <NA>     NA    NA       NA
4 2001-11-01  37.8 SPY    109.  0.0256  -0.0186   0.0108  -0.102    -0.206       NA       NA <NA>     NA    NA       NA
5 2001-11-02  37.8 SPY    109.  0.0068  -0.0097   0.0168  -0.0997   -0.216       NA       NA <NA>     NA    NA       NA
6 2001-11-06  38.4 SPY    112.  0.0155   0.0588   0.0551  -0.0833   -0.214       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart